n******y
发帖数: 192 | 1 Chapter12.16
A stock price is currently $50. Its expected return and volatility are 20%
and 30%, respectively. What is the probability that the stock price will be
greater than $80 in 2 years?
Thanks | s*******g
发帖数: 11 | 2 assume log normal distribution.
d log(S) = (mu - sig^2/2) dt + sig dW
logS = log S0 + f((mu - sig^2/2) t , sig^2 t)
mu = 0.2, sig = 0.3, S0=50 , t = 2, f is Gaussian distribution
be
【在 n******y 的大作中提到】
: Chapter12.16
: A stock price is currently $50. Its expected return and volatility are 20%
: and 30%, respectively. What is the probability that the stock price will be
: greater than $80 in 2 years?
: Thanks
| n******y
发帖数: 192 | 3 lnSt~N[lnS0+(mu-sig^2/2)t, sig*sqrt(t)]
lnSt is normal distributed with
mean: lnS0+(mu-sig^2/2)t
std: sig*sqrt(t)
带入数据计算得N[3.987, 0.4242]
z=[ln80-3.987]/0.4242=0.9312
查表的82.38%
1-82.38%=17%
这样对么？
【在 s*******g 的大作中提到】
: assume log normal distribution.
: d log(S) = (mu - sig^2/2) dt + sig dW
: logS = log S0 + f((mu - sig^2/2) t , sig^2 t)
: mu = 0.2, sig = 0.3, S0=50 , t = 2, f is Gaussian distribution
:
: be
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